What is your working process regarding tutorials and courses?

When I was a complete beginner I did the follow along method with pausing the video. By now I’ve seen all courses I’m interested in multiple times, so I know which course contains what info. I just start a personal project I’m interested in doing, and whenever I’m stuck I watch again the videos that explain the technique needed. It took me a year to get to this stage. 

Personally I find doing your own projects is the best way to learn, since you have to think out of the box and try to figure out how to do things, actually apply the techniques learned in a creative way. There is a catch though. If you try something that’s way out of your skill set it can backfire. So choosing the right subject that ensures you are learning new things and help you developing yourself, while not knocking you down on your ass because it’s too difficult for you at this moment in time, is an art in itself.

I started out like you, step-by-step following a tutorial. But as you said, that is a big nuisance, pausing and re-starting the video.

So I started stretching out the portions of the video. 

Now I can usually watch a whole tutorial and then reproduce the result. 

Mind you, it all depends on the tutorial and your knowledge of Blender; I watched the Treasure chest course in one go and was good to go (mostly, there where a few things I had to re-watch).

But watching the Pierrot course completely and then re-producing that would be a lot to ask;)

Also, one tutorial in Kent's Shader Forge is very hard to reproduce after seeing it once, without pausing the video.

There is no golden rule for this, just try and take in as much information as you can and then pause the video...

Of course, after some time you will use the tutorials as a basis and start making your own things.

Do whatever feels comfortable to you, then you will not be 'doing it wrong'!

Like already mentioned, there is no definite way of approaching this. I tend to do a little of both. If I'm well familiar with the topic and want to see how someone approached something I may just watch the video(s) and apply what I learned afterward. If it's a completely new topic I may watch a bit, pause, then try to implement the same thing myself. It's also based on how long the video is. It might be unfeasible for me to watch a 40 min video and try to replicate what I watched, but if it's a 10 min video it's short enough that I'd want to watch it multiple times to really grasp it. 

Echoing what was said. for me when i was starting i had hour long commute to work. so i watched the videos while sittin in a bus, and then when i was back home i followed along with the tutorial and did step by step copy. i did that mostly to get more fluent with blender's interface than anythin else. after at some point, i switched on just gathering information from the tutorials and proceeded to make my own stuff based of those. 

Thank you all for your answer. I started the low poly rocket course by watching each video completely, and then doing things, and it makes it less tedious. But I guess it's doable because that one is a really beginner one.